Deferred and compounded swaps

[Andre Louw-2]

Hi,


I have some deferred and compounded swaps, i.e a number of coupons all paying at some common, future date with interest earned on these compounded by each following coupon until the payment date.
Do we have a mechanism whereby this can be catered for?

Andre

[Luigi Ballabio-2]

On 2004.03.09 05:19, Andre Louw wrote:
> I have some deferred and compounded swaps, i.e a number of coupons  
> all paying at some common, future date with interest earned on these
> compounded by each following coupon until the payment date.

Andre,
        I'm not sure I follow. Do you have any formulas?

Later,
        Luigi